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Understanding and managing interest rate risks

Chen, Ren-Raw - 1996

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A no-arbitrage perspective on global arbitrage opportunities

Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2020

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Pricing cross-currency interest rate swaps under the Levy market model

Wang, Ming-Chieh; Huang, Li-Jhang - In: Review of derivatives research 22 (2019) 2, pp. 329-355

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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models

Rebonato, Riccardo - In: The journal of computational finance 19 (2015) 1, pp. 1-10

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A review of no arbitrage interest rate models

Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002

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Inter-variety equilibrium of Chinese treasury futures

Wang, Jinzhong; Zhong, Hong; Yu, Zhenjie - In: Credit and capital markets : Kredit und Kapital 55 (2022) 2, pp. 261-290

, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …

Persistent link: https://www.econbiz.de/10014518583